Download or read book Interday and Intraday Volatility written by Gary Gang Tian and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L-shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open.

Download or read book An Analysis of Intraday Volatility in the Stock Market written by Steven Jeffrey Medina and published by . This book was released on 1993 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intraday and Interday Volatility Patterns in HSIF Contracts written by Daniel Fun Sang Choi and published by . This book was released on 1996 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volume and Volatility in the Stock Market written by Melissa Danielle Davis and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Studies on Volatility in International Stock Markets written by Eugenie M.J.H. Hol and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Download or read book Intraday Versus Inter day Trading Analysis of Market Depth Trading Volume and Return Volatility with Holiday Effects on US and Taiwan Stock Market written by and published by . This book was released on 2015 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Study of Intraday Volatility Trading Utilizing High Frequency Data and the Microstructure Effects on Implementation written by Jennifer Wells Murray and published by . This book was released on 2010 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Information Effects on Inter Day Volatility written by Natoli Riccardo and published by LAP Lambert Academic Publishing. This book was released on 2014-01 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management is an integral part of financial market management. The dynamic nature of the financial market, and financial variables in particular, is evidenced by the empirical data which demonstrates that financial variables typically have a non-normal distribution. The contention of this book is to demonstrate whether the normality assumption inherent in the value at risk (VaR) measurement leads to flawed risk measurement outcomes. To help determine this, a comparative analysis between the conventional VaR method and a moment corrections method (MCM) was undertaken to assess the information effects of inter-day volatility on selected financial variables. The book then concludes by recommending which of these two approaches is more suited to identifying and thus, controlling for, risk in the financial markets.

Download or read book Intraday Volatility in the Stock Index and Stock Index Futures Markets written by Ka-Keung Ceajer Chan and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intra day Price Volatility written by Deniz Ozenbas and published by . This book was released on 2002 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intraday Stealth Trading and Volatility written by Barbara Bedowska-Sojka and published by . This book was released on 2013 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The intraday volatility and volume U-shape pattern is well documented in the literature. It describes the common pattern of investor's behavior on the stock markets: investors trade in the beginning and the end of the day more intensive than in the lunch time. However that pattern does not differentiate between trades' sizes and investors characteristics. The stealth trading hypothesis states that informed traders tend to hide their information. There is a need for such behavior at the time of low volatility and they may achieve this by breaking up their trades into smaller parts. At the time of high volatility informed traders are willing to place large orders at the beginning and the end of the trading day because high volatility provides a sufficient camouflage for their information. We examine volatility pattern for small, medium and large trades and consider how durations between trades and spreads differ between trade size categories. Our sample consists of the data from the Warsaw Stock Exchange, which is organized as an order driven market. We show that medium-size trades are associated with relative large cumulative stock price changes, however these results are not robust when liquidity measures and durations between the consecutive trades are taken into account.

Download or read book Forecasting Daily Stock Volatility written by Ana-Maria Fuertes and published by . This book was released on 2013 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several recent studies advocate the use of nonparametric estimators of daily price variability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample fit analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Forecast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t-1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.

Download or read book The Impact of Short Selling on Intraday Volatility written by Serkan Cankaya and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities, rather than the daily price movements. We demonstrate that the effects of short selling activity change during the two sessions of the day and the rest of trading hours. The study also presents evidence that there is a considerable amount of short selling activity in the Istanbul Stock Exchange (ISE), particularly at the beginning of opening sessions, which significantly impacts the volatility of the market for the rest of the trading day.

Download or read book Do You Know What Time It Is How to Leverage the Prime Opportunity Windows in the Stock Market written by and published by Accendo LLC. This book was released on with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Patterns in Intraday Stock Market Volatility written by Mason S. Gerety and published by . This book was released on 1990 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.

Download or read book Intraday Trading Patterns and Day of the Week in Stock Index Options Markets written by Min-Hsien Chiang and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article studies the intraday patterns of trading volume, volatility, and spreads and day-of-the-week variations for stock index options traded on the Taiwan Futures Exchange (TAIFEX). In addition, we examine the overnight variations in returns, volatility and spreads as well. We find that trading volume of TAIFEX options exhibit a U-shaped pattern. While the volatility at the market open is extremely volatile, the volatility quickly levels off for much of the rest of a trading. The bid-ask spreads pattern for TAIFEX options approximately follows a U-shaped pattern with a small hump immediately after 13:00 hours. The mean returns at Monday open for TAIFEX calls are lower while returns at the end of a trading day are larger. Calls have smaller overnight variations in volatility and bid-ask spreads compared to those in puts.